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The Dynamics of Palladium and Platinum Prices

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  • Adrangi, Bahram
  • Chatrath, Arjun

Abstract

This paper tests for and provides evidence of nonlinear dependencies in palladium and platinum futures prices. The results indicate that ARCH-type processes, with controls for seasonality and contract-maturity effects, generally explain the nonlinearities in the data. We also present evidence inconsistent with Chaos in the price behavior of both metals. Finally, our estimated models support the Samuelson (1965) hypothesis of maturity effects in futures price changes. Copyright 2002 by Kluwer Academic Publishers

Suggested Citation

  • Adrangi, Bahram & Chatrath, Arjun, 2002. "The Dynamics of Palladium and Platinum Prices," Computational Economics, Springer;Society for Computational Economics, vol. 19(2), pages 179-195, April.
    • Handle: RePEc:kap:compec:v:19:y:2002:i:2:p:179-95
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    Cited by:

    1. Hammoudeh, Shawkat M. & Yuan, Yuan & McAleer, Michael & Thompson, Mark A., 2010. "Precious metals-exchange rate volatility transmissions and hedging strategies," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 633-647, October.
    2. Lau, Marco Chi Keung & Vigne, Samuel A. & Wang, Shixuan & Yarovaya, Larisa, 2017. "Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 316-332.
    3. Sari, Ramazan & Hammoudeh, Shawkat & Soytas, Ugur, 2010. "Dynamics of oil price, precious metal prices, and exchange rate," Energy Economics, Elsevier, vol. 32(2), pages 351-362, March.
    4. Charlot, Philippe & Marimoutou, Vêlayoudom, 2014. "On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree," Energy Economics, Elsevier, vol. 44(C), pages 456-467.
    5. Auer, Benjamin R., 2014. "Daily seasonality in crude oil returns and volatilities," Energy Economics, Elsevier, vol. 43(C), pages 82-88.
    6. Loretta Mastroeni & Pierluigi Vellucci, 2017. "“Chaos” In Energy And Commodity Markets: A Controversial Matter," Departmental Working Papers of Economics - University 'Roma Tre' 0218, Department of Economics - University Roma Tre.

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